Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 2 | 2 | 4 |
| Score | -5.84 | -4.1 | -1.62 |
| Market Cap (Millions USD) | 8819.92 | 8727.17 | 8867.5 |
| Predicted Beta | 2.4 | 2.4 | 2.45 |
| Idiosyncratic Volatility | 4.35 | 3.15 | 5.98 |
Annualized return and volatility
| IWO | |
|---|---|
| Annualized Return | 0.0617 |
| Annualized Std Dev | 0.2413 |
| Annualized Sharpe (Rf=0%) | 0.2557 |
Row
Daily Return Statistics
| IWO | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1023 |
| Quartile 1 | -0.0073 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0085 |
| Maximum | 0.1094 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0152 |
| Skewness | -0.0761 |
| Kurtosis | 3.6304 |
Downside Risk
| IWO | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6010 |
| Historical VaR (95%) | -0.0248 |
| Historical ES (95%) | -0.0348 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0373 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-05 | 2002-10-09 | 2007-02-22 | -0.6010 | 1652 | 534 | 1118 |
| 2007-10-11 | 2009-03-09 | 2010-12-21 | -0.5762 | 820 | 363 | 457 |
| 2011-05-02 | 2011-10-03 | 2012-09-14 | -0.2923 | 353 | 109 | 244 |
| 2018-09-04 | 2018-12-24 | NA | -0.2881 | 336 | 79 | NA |
| 2015-06-24 | 2016-02-11 | 2016-12-08 | -0.2870 | 375 | 164 | 211 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWO | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | -1.0 | 0.8 | 0.0 | -0.7 | 3.5 | 0.0 | 2.6 |
| 2001 | 0.1 | -0.6 | 0.0 | 1.0 | -0.1 | 0.0 | 1.4 | 0.0 | -0.2 | 2.0 | 0.0 | 0.0 | 3.7 |
| 2002 | -0.2 | 2.5 | 0.0 | 0.0 | 0.0 | -5.3 | -2.1 | 0.0 | 1.7 | 2.6 | 0.0 | 0.0 | -1.0 |
| 2003 | 0.0 | 0.0 | 1.8 | 0.3 | 0.0 | 1.3 | -1.6 | 0.0 | 2.1 | 0.0 | 1.2 | 0.0 | 5.1 |
| 2004 | 0.0 | 1.3 | 0.8 | 0.0 | 1.3 | -1.8 | 0.0 | 1.2 | 2.1 | 0.3 | 1.6 | 0.0 | 7.1 |
| 2005 | 0.7 | 0.6 | -0.5 | 0.0 | 0.8 | 0.6 | 0.2 | 0.0 | 0.0 | 0.7 | 1.9 | 0.0 | 5.0 |
| 2006 | 1.3 | 2.0 | 0.0 | -1.0 | 1.9 | 0.0 | -1.8 | 0.3 | 0.0 | -2.1 | -0.3 | 0.0 | 0.1 |
| 2007 | 1.1 | -0.5 | 0.0 | 0.1 | 0.5 | 0.0 | 0.2 | 0.0 | 2.9 | -3.3 | 0.0 | 0.0 | 0.9 |
| 2008 | 2.6 | 0.0 | 3.9 | 1.6 | 0.0 | 0.1 | 0.7 | 0.0 | -1.5 | 0.0 | -10.2 | 0.0 | -3.4 |
| 2009 | 0.0 | 0.0 | 1.3 | 0.8 | 3.6 | 1.6 | 0.0 | -2.1 | -3.1 | 0.0 | 1.6 | 0.0 | 3.5 |
| 2010 | 1.1 | 2.4 | 0.8 | 0.0 | -2.7 | -0.7 | 0.0 | 3.8 | 0.5 | -0.9 | 2.3 | 0.0 | 6.8 |
| 2011 | 2.2 | -2.0 | 0.4 | 0.0 | -3.3 | 1.4 | -0.5 | -2.0 | 0.0 | -3.3 | -0.6 | 0.0 | -7.6 |
| 2012 | 2.2 | 0.7 | 0.0 | 0.2 | -3.4 | 0.0 | -1.8 | 0.0 | 0.3 | 1.3 | 0.0 | 0.0 | -0.6 |
| 2013 | 0.9 | 0.6 | -1.3 | -2.3 | 0.0 | 1.8 | 1.7 | 0.0 | 1.3 | -0.5 | 0.0 | 0.0 | 2.3 |
| 2014 | 0.0 | 0.0 | 1.5 | 0.2 | 0.0 | 1.2 | -0.5 | 0.0 | -1.7 | 0.0 | -1.8 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.9 | 0.3 | 0.3 | 0.0 | -2.7 | -0.2 | 0.0 | 0.6 | 0.0 | -0.8 |
| 2016 | -0.1 | 2.2 | 0.8 | 0.0 | 0.8 | 0.4 | 0.4 | 0.4 | 0.0 | -1.2 | -1.2 | 0.0 | 2.5 |
| 2017 | 0.1 | 1.7 | 0.0 | 0.7 | 2.0 | 0.0 | 0.1 | 0.4 | 0.0 | -0.8 | -0.6 | 0.0 | 3.7 |
| 2018 | 0.4 | -0.6 | 0.0 | 0.6 | 0.9 | 0.0 | 0.1 | 0.0 | -1.6 | 2.7 | 0.0 | 0.0 | 2.6 |
| 2019 | 0.2 | 1.3 | 0.7 | -1.1 | 0.0 | 0.7 | -0.9 | 0.0 | -2.0 | 1.7 | 0.0 | 0.3 | 0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
